SELF Options History — July 2022

In July 2022, SELF traded between $5.45 and $5.90. ATM implied volatility averaged 75.2%, placing in the 25.9% IV rank vs the trailing year. The 30-day expected move averaged 17.2%. IV traded above realized volatility by 29.8% (HV 20d: 45.3%). Max pain ranged from $5.00 to $7.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.31.

Notable Days

2022-07-07: Highest Volume — 247 contracts
2022-07-12: Largest IV spike — 119.5% change
2022-07-12: Highest IV Rank — 90.4%
2022-07-28: Largest Expected Move — 28.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$5.66	$5.45	$5.90	$5.73	$5.55
Max Pain	$5.13	$5.00	$7.50	$7.50	$5.00
ATM IV	75.2%	35.0%	200.0%	62.0%	55.0%
Expected Move	17.2%	10.0%	28.0%	17.8%	15.8%
HV 20d	45.3%	34.6%	54.5%	54.5%	34.6%
HV 60d	41.0%	40.3%	42.1%	41.6%	40.8%
IV Rank	25.9%	5.1%	90.4%	19.1%	15.5%
IV Percentile	61.9%	15.6%	98.9%	62.3%	47.0%
Term Structure	90.0%	-47.7%	369.6%	-21.6%	-8.4%
VWIV	57.8%	30.7%	97.9%	68.2%	50.6%
Skew 25d	3.7%	-41.4%	64.5%	-22.9%	-3.1%
Skew 10d	48.9%	-30.8%	139.6%	-30.8%	47.8%
Call IV 25d	58.6%	43.3%	112.4%	81.4%	51.7%
Put IV 25d	62.3%	39.1%	118.9%	58.4%	48.5%
Bid-Ask Spread %	111.15	90.18	124.27	103.49	124.27
Gamma HHI	0.88	0.71	0.96	0.89	0.71
Net GEX	3.4K	2.8K	4.8K	3.6K	3.0K
Net DEX	-97.3K	-126.2K	-64.0K	-96.5K	-83.1K
Net VEX	-733	-917	-559	-793	-616
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.31	0.06	0.69	0.69	0.55
Total Volume	175.35	51	247	231	51
Total OI	960.75	810	1,042	1,013	914

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2022-07-01	$5.73	$7.50	62.0%	17.8%	54.5%	19.1%	68.2%	-22.9%	-21.6%	3.6K	-96.5K	-793	0.69	103.49	N/A	N/A	137	94	908	105
2022-07-05	$5.90	$5.00	113.2%	25.4%	51.6%	45.5%	74.9%	44.5%	-47.7%	4.6K	-119.7K	-878	0.68	118.58	N/A	N/A	138	94	908	124
2022-07-06	$5.87	$5.00	116.5%	18.7%	51.6%	47.2%	71.4%	-41.4%	-31.0%	4.8K	-126.2K	-917	0.68	111.76	N/A	N/A	138	94	910	124
2022-07-07	$5.66	$5.00	89.0%	21.4%	51.2%	33.0%	73.8%	16.5%	-15.7%	3.0K	-73.7K	-696	0.61	114.10	N/A	N/A	153	94	920	122
2022-07-08	$5.69	$5.00	74.8%	14.6%	46.8%	25.7%	51.4%	-4.9%	-1.5%	3.2K	-105.4K	-756	0.32	101.45	N/A	N/A	146	47	920	94
2022-07-11	$5.61	$5.00	91.1%	14.4%	46.3%	34.1%	50.4%	1.7%	-2.6%	2.9K	-84.7K	-684	0.29	123.23	N/A	N/A	146	42	920	94
2022-07-12	$5.45	$5.00	200.0%	15.1%	46.9%	90.4%	48.4%	23.9%	-20.8%	2.9K	-64.0K	-559	0.29	116.95	N/A	N/A	146	42	920	91
2022-07-13	$5.50	$5.00	40.8%	11.7%	45.4%	8.1%	30.7%	6.5%	0.9%	2.9K	-80.3K	-646	0.29	119.59	N/A	N/A	146	42	920	91
2022-07-14	$5.52	$5.00	51.5%	14.8%	45.5%	13.7%	49.0%	18.9%	287.2%	3.2K	-84.7K	-670	0.29	98.67	N/A	N/A	146	42	920	91
2022-07-15	$5.74	$5.00	68.1%	19.5%	45.3%	22.2%	69.7%	-16.8%	329.3%	3.8K	-108.9K	-721	0.34	116.93	N/A	N/A	137	46	920	92
2022-07-18	$5.55	$5.00	60.4%	17.3%	46.5%	18.3%	60.5%	-1.5%	-15.1%	3.2K	-91.2K	-651	0.06	117.23	N/A	N/A	219	13	739	71
2022-07-19	$5.74	$5.00	77.1%	22.1%	48.2%	26.9%	72.6%	-11.3%	369.6%	4.1K	-113.3K	-825	0.15	110.65	N/A	N/A	123	18	826	75
2022-07-20	$5.67	$5.00	48.3%	13.9%	48.0%	12.0%	44.8%	-1.1%	342.0%	3.3K	-95.7K	-738	0.14	111.93	N/A	N/A	125	18	826	86
2022-07-21	$5.70	$5.00	52.7%	15.1%	46.8%	14.3%	46.5%	-7.4%	30.6%	3.5K	-115.6K	-837	0.14	118.94	N/A	N/A	125	18	828	86
2022-07-22	$5.62	$5.00	60.0%	17.2%	46.1%	18.0%	52.7%	-9.3%	-38.5%	3.6K	-100.7K	-747	0.14	117.32	N/A	N/A	125	18	828	86
2022-07-25	$5.68	$5.00	65.3%	18.7%	46.4%	20.8%	66.9%	21.8%	82.6%	3.6K	-103.4K	-752	0.14	99.28	N/A	N/A	125	18	828	86
2022-07-26	$5.76	$5.00	35.0%	10.0%	35.2%	5.1%	34.3%	7.4%	342.3%	2.9K	-103.9K	-738	0.14	91.42	N/A	N/A	129	18	828	86
2022-07-27	$5.71	$5.00	45.5%	13.1%	35.2%	10.6%	41.2%	-11.5%	263.2%	2.8K	-83.9K	-627	0.14	90.18	N/A	N/A	129	18	828	86
2022-07-28	$5.56	$5.00	97.6%	28.0%	34.9%	37.5%	97.9%	64.5%	-45.7%	3.8K	-111.1K	-802	0.14	117.01	N/A	N/A	129	18	828	86
2022-07-29	$5.55	$5.00	55.0%	15.8%	34.6%	15.5%	50.6%	-3.1%	-8.4%	3.0K	-83.1K	-616	0.55	124.27	N/A	N/A	33	18	828	86